Actually, it is possible so serve compressed HTTP content using current SA versions, but it requires some additional coding (see example below). So, a built-in HTTP compression would still be a more robust and usable solution.
P.S. You can check if your page is compressed using this online tool: Port80 Software

Linas... clever stuff, but I'm totally with LM and Breck on this... If SQLA is a web server (which I guess it is), we shouldn't have write database functions to handle this. The web server should just 'know' to do this.

Another solution for current versions of SQL Anywhere is to sit the database server behind a Reverse Proxy that is capable of compressing the responses. E.g. Apache via mod_proxy or the latest versions of IIS (7.0 and 7.5).